Sounds like you might be talking about the little neon bulb testers by your description. They are designed to detect AC. The reason you do not get shocked is that there is no filiment in the bulb. In fact, there is no connection between the test leads as the bulb glows by exciting gas in the bulb. Relative to polarity, if you hold one lead tip in your hand and touch the other lead to household AC, the "hot" lead will cause the bulb to glow. The "netural" lead will not. Since I really don't know what kind of tester you have, I don't recommend the above process.
When you get shocked, your body is acting as a conductor. The amount of conductivity is determined by how tight you are holding the hot wire, how well you are grounded (bare footed on a wet concrete floor can kill you), and the amount of sodium / water in your skin.